1990 * kenichi.sakura@boj.or.jp ** hitoshi.sasaki@boj.or.jp *** masahiro.higo@boj.or.jp No.05-J-10 2005 12 103-8660 30 * ** ***
1990 2005 12 1990 1990 1990 2005 11 2425 BIS E-mail: kenichi.sakura@boj.or.jp E-mail: hitoshi.sasaki@boj.or.jp E-mail: masahiro.higo@boj.or.jp 1
1990 1990 1980 McConnell et al. () 1980 Kahn et al. () VAR Ahmed et al. () Stock and Watson () 1 G7 Blanchard and Simon () Blanchard and Simon G7 GDP GDP Stock and Watson () 1990 1990 1 3 2
2 1990 3 VAR VAR 4 5 CPI 3 6 1990 1977 GDP68SNA 93SNA 1980 CPI GDP A 1990 1 HPHodrick-Prescott GDP 2 2 2 HP =1600 =400 =16000 HP Hodrick and Prescott () 3
3 93SNA 1 68SNA 3(1) 3 GDP IIP 3(2) GDP 4 3(3) HP Baxter and King () Band-Pass 5 632 1990 3(4) 1990 1 Blanchard and Simon () G7 4 5 6 3 93SNA 68SNA 4 68SNA 93SNA GDP 1980 5 Baxter and King () 12 4
Blanchard and Simon () Stock and Watson () VAR VAR VAR Ahmed et al. () VAR 2 2 VAR Ahmed et al. () VAR GDP 4 yt ( n 1) p1 = a1 + B1, i yt i i= 1 ( n 1) ( n n) ( n 1) + e 1, t ( n 1) 5
e2,t yt = a2 + i= 1 B2, i yt i + e2, t ( n 1) ( n 1) ( n n) ( n 1) ( n 1) p2 yt B1,i B 2, i a1 a 2 e1,t unidentified shocks p 1 p2 n 6 ε1,t ε 2, t i.i.d. identified shocks A1 A 2 A 1 ( n n) e 1, t ( n 1) = ε 1, t ( n 1) A 2 ( n n) e 2, t ( n 1) = ε 2, t ( n 1) 1 * A 1, A2 M * 0 1 O L L O O * 0 M 0 1 * VAR a ˆ1, aˆ ˆ ˆ 2, Bˆ ˆ 1, i, B2, i, A1, A2 SD( ˆ ε 1) = ˆ1 σ SD( ˆ ε 2 ) = ˆ σ 2 aˆ 1, aˆ ˆ ˆ 2, Bˆ ˆ 1, i, B2, i, A1, A2 ˆ σ 1, ˆ σ 2 yt 4 y aˆ y aˆ p = + 1 ˆ ˆ 1 t 1 B1, i y + t i A1 u1, t i= 1 p = + 1 ˆ ˆ 1 t 1 B1, i y + t i A1 u2, t i= 1 6 Ahmed et al. () VAR A1, A2 ordering 6
y aˆ y aˆ p = + 2 ˆ ˆ 1 t 2 B2, i y + t i A2 u1, t i= 1 p = + 2 ˆ ˆ 1 t 2 B2, i y + t i A2 u2, t i= 1 2 2 u ~ N(0, ˆ σ ), ~ (0, ˆ 1 u σ 2 N 2 ). 1 i. i. d. i. i. d. Counterfactual Simulation Ahmed et al. () VAR 1960 1 1979 4 1984 1 1 GDP CPI PPI <Crude materials> FF 4 VAR Ahmed et al. GDP 5075% 2550 8590 1015% 7
Stock and Watson () 19601983 1984 GDP GDP FF VAR Stock and Watson GDP 90% 4060% GDP GDP CPI 3 VAR 7 A 78 B 68SNA VAR 1977 1 1986 4 1991 1 8 2 19871990 1 19871990 7 GDP VAR GDP GDP () (2005) 8 Hosoya et al. (2005) 1960 1 1974 2 1981 1991 3 Chow 8
1977 1 1988 2 1993 1 2 46 VAR VAR p 1 = p 2 2 VAR 9 GDP GDP 2 9 VAR 3 1991 1 Chow 10(1) (3) Goldfeld-Quandt ordering GDP CPI GDP 10(2) 4 1 GDP 9 ordering GDP CPI ordering 9
10 VAR 3 GDP GDP GDP GDP 2(2) GDP 11 GDPGAP = log( GDP) log( GDPtrend) 14243 1442443 GDP GDP 14243 GDPGAP = log( GDP) log( GDPtrend) 14243 14 424443 GDP 11 p.6 GDP CPI p.7 CPI 0.100.11 11(2) 46 11(2) GDP GDP +1 +0 11(1) 10 11 2(1)GDP 10
+0.12-9 11(1) GDP 12 1 12 GDP GDP 0.100.11 12(1) GDP 0.57 0.59 GDP 20% 0.14 5 12(2) 0.61 0.55 20%40% 13 A,B C,D 12 VAR VAR 10 11
13 ordering VAR 1977 1 1988 2 1993 1 2 46 1977 1 1986 4 1991 1 2 13 GDP 0.100.15 2030% CPI 0.105 2040% 14 1977 1 1988 2 1993 1 2 13 GDP 5 0.12 1025% 1990 VAR 10(1) 13 4 VAR CPI 14 12
VAR π t π t i GDP x t i 1 14 γˆ βˆ π α + β x + γ π + δ i + ε t = t 1 t 1 t 1 t π : x:gdp i: GDP 4 GDP 4 4 π t = α + β i xt i + γ iπ t i + ε = t i= 1 i 1 15 4 GDP ˆ = β i 1 i GDP VAR 1990 1990 VAR GDP 20% VAR 13
GDP GDP 1990 16 15 17 17(1) 1990 GDP 17(2) 18 16 1990 15 16 1994 14
2 GDP 19(1) GDP 1994 19(2) 17 I i I i ; Var( I) = Var( I ) = Var( Ii) + Cov( Ii, I j) i i j i 14243 144424443 i i I = Ii, Ii = ( Iit, Iit, 4)/ It 4 i = σ σ ρ i j i i j ij 17 15
σ i i ρij i j 18 1990 20 19 1990 20 21 1990 22 1990 18 (1992) 1956-1973 1974-1989 1974-1989 19 20 21 20 Comin and Philippon (2005) GDP Comin and Philippon 21 22 () 1980 1990 16
23 1990 CPI CGPIGDP CPI 3 VAR 1980 1990 CPI CPI 22 1981 1985 0.9% 0.7% % CPI 1990 CPI 23 Ogawa and Suzuki () () 1980 Gibson () Nagahata and Sekine (2005) (2005) Fukunaga () DGE 1990 17
3 VAR VAR CPI 1980 24 CPI CPI 23(1) CPI 19811985 0.9% 0.8% 0.1% 23(3) GDP CGPI 24 25 CGPI 25(5),(6) 24 5 1980 18
1990 CPI 26 6 27 CPI CPI 19
25 28(1) 1993 28(2) 1990 29(1) 29(2) 1990 26 3 VAR CPI 27 () 25 26 27 20
28 (2005) 1990 VAR GDP VAR 1990 28 () GDP GDP GDP GDP HP GDP 21
VAR 1990 22
A GDP 68SNA93SNA 93SNA 3 1980 1 68SNA1980 2 1994 1 93SNA 1994 2 93SNA 2 1989 4 4 1989 1 2 1 2 X-12-ARIMA GDP GDP GDP HP 29 GDP 100 HP 1600 CPI 1989 4 4 X-12-ARIMA Level Shift 29 HP () 1950 GDP HP 1977 23
VAR 3 GDP CPI CGPI 30 CPI 5 HP GDP 30 1980 24
B68SNA VAR 68SNA 3 VAR 3 3 A 68SNA 93SNA 93SNA 68SNA 68SNA GDP 68SNA 1 31 1991 1 1 68SNA 3(1) VAR 1 Chow 2 910 93SNA 68SNA 68SNA GDP 2(2) 34 11 13 4 GDP 31 25
32 GDP 93SNA GDP GDP 20% 68SNA 80% 0.58 +5 GDP 3 32 68SNA 14 26
() February (2005) 3 GDP 2005-J-3 () () 2 () 2 () 2005 () 17 6 () 04-J-11 (2005) 05-J-2 (1992) 1992 Ahmed, S., A. Levin, and B. A. Wilson (), "Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck?," The Review of Economics and Statistics 86(3), pp.824-832. Baxter, M. and R. G. King (), "Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series," The Review of Economics and Statistics 81(4), pp.575-593. Blanchard, O. and J. Simon (), "The Long and Large Decline in U.S. Output Volatility," Brookings Papers on Economic Activity 32:1, pp.135-164. Comin, D. and T. Philippon (2005), "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Working Paper 11388. Fukunaga, I. (), "Financial Accelerator Effects in Japan's Business Cycles," Research and Statistics Department, Bank of Japan Working Paper Series, 02-E-6. 27
Gibson, M. (), "Can Bank Health Affect Investment? Evidence from Japan," The Journal of Business 68(3), pp.281-308. Hodrick, R. and E. Prescott (), "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit, and Banking 29, pp.1 16. Hosoya, Y., F. Yao, and T. Takimoto (2005), "Testing the One-Way Effect in the Presence of Trend Breaks," The Japanese Economic Review 56, pp.107-126. Kahn, J. A., M. M. McConnell, and G. Perez Quiros (), "On the Causes of the Increased Stability of the U.S. Economy," Federal Reserve Bank of New York, Economic Policy Review. McConnell, M. M., P. C. Mosser, and G. Perez Quiros (), "A Decomposition of the Increased Stability of GDP Growth," Federal Reserve Bank of New York, Current Issues in Economics and Finance. Nagahata, T. and T. Sekine (2005), "Firm Investment, Monetary Transmission and Balance-Sheet Problems in Japan: an Investigation using Micro Data," Japan and the World Economy 17, pp.345-369. Ogawa, K. and K. Suzuki (), "Demand for Bank Loans and Investment under Borrowing Constraints: A Panel Study of Japanese Firm Data," Journal of the Japanese and International Economies 14, pp.1-21. Stock, J. H. and M. W. Watson (), "Has the Business Cycle Changed and Why?," NBER Macroeconomics Annual (Cambridge, MA: MIT Press, ). Stock, J. H. and M. W. Watson (), "Understanding Changes in International Business Cycle Dynamics," NBER Working Paper 9859. 28
GDP GDP GDP 68SNA 93SNA 1994 200 250 300 350 400 450 500 550 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 - -0.5 0.5 1.5 2.0 2.5 3.0 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 0.61 0.70
HP λ1600 GDP 0.6 0.8 1.2 1.4 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994-2.0-1.5 - -0.5 0.5 1.5 2.0 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 0.57 0.69
GDP68SNA HP IIP HP 0.6 0.8 1.2 1.4 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994-2.0-1.5 - -0.5 0.5 1.5 2.0 2.5 3.0 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 0.55 0.96 - - 0.6 0.8 1.2 1.4 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994-5.0-4.0-3.0-2.0-2.0 3.0 4.0 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1.26 1.79
GDP93SNA HP GDP93SNA Band-Pass HP λ1600 Baxter&King() Band-Pass 6 32 12 1980 68SNA -2.0-1.5 - -0.5 0.5 1.5 2.0 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 8 6 2.0 3.0 4.0 5.0 6.0 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994-6.0-5.0-4.0-3.0-2.0-2.0 3.0 4.0 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1.12 1.69 - -0.5 0.5 1.5 2.0 2.5 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994
HP λ1600 GDP Bureau of Economic Analysis, "National Economic Accounts" 0.6 0.8 1.2 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994-3.0-2.0-2.0 3.0 4.0 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 6 7
CPI GDP -4-2 0 2 4 6 8 10 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005 1.99 1.15 0.82 1.32 6 0-2 0 2 4 6 8 10 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005 2.17 1.25 0.84 4 0.38 0.35
CPI 16 14 12 10 8 6 4 2 0 3.13 2.74 1.37 0.74 0.70 0.73 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005 GDP 12 10 8 6 4 2 0 1.31 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005 2.43 0.69 0.57 0.39 0.35 Bureau of Labor Statistics, "Consumer Price Indexes" Bureau of Economic Analysis, "National Economic Accounts"
(%) 3 2 1 0-1 -2 GDP GAP1600 (%) 3.0 2.5 2.0 1.5 0.5 CPI DCPI_EXSEISEN -3 78 80 82 84 86 88 90 92 94 96 98 00 02 04-0.5 78 80 82 84 86 88 90 92 94 96 98 00 02 04 (%) 2.5 2.0 1.5 0.5-0.5 DNAIJUDEF (%) 30 20 10 0-10 -20 DIPI - 78 80 82 84 86 88 90 92 94 96 98 00 02 04-30 78 80 82 84 86 88 90 92 94 96 98 00 02 04 (%) RATEGAPC (%) 3 7 REALRATEC 2 6 1 5 0 4-1 3-2 2-3 1-4 0-5 -1-6 78 80 82 84 86 88 90 92 94 96 98 00 02 04-2 78 80 82 84 86 88 90 92 94 96 98 00 02 04 VAR
1977.1-1986.4 CPI GDP GDP -3 0.82-2 -0.52 0.77 3.09 2 0 0.77-0.83 9 0.68 4.04-5 1.90 2.92 20.98 2.08 2.15 6.14 1.56-1.51-0.18-21.37-5.57-9 -1.64-2 0.96 0.61 8.08 2.24 0.62 2.02 0.57 0.16 1.20 0.34-0.74 1-0.76 7 1.93 5.04 4.14 2.15 2.74 2.32 3.08 1991.1-.2 CPI GDP GDP 0 7-0.38-0.13-9 1.15-2 -7 2-6 -0.14-9 0.70 5 2.70 0.73 6.56 2.33 0.85 5.34 1.16-2.23-2 -9.66-1.33-0.83-2 -1.48 1.27 6 3.49 0.85 0.36 1.36 0.70 3 0.82-0.32 0.93 9 1.65-0.14 1.95 3.30 2.90 3.99 3.55 5.24 2.00
VAR 1977.11986.4 0.8 0.6 - - -0.6 GDP GDP 0.8 0.6 - - -0.6 GDP 0.8 0.6 - - -0.6 GDP -0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920-0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920-0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920 GDP 0.3 0.3 0.3 0.1 0.1 0.1-0.1-0.1-0.1-1 2 3 4 5 6 7 8 9 1011121314151617181920-1 2 3 4 5 6 7 8 9 1011121314151617181920-1 2 3 4 5 6 7 8 9 1011121314151617181920 GDP 0.8 0.6 - - 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.8 0.6 - - 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.8 0.6 - - 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
1991.1.2 0.8 0.6 - - -0.6 GDP GDP 0.8 0.6 - - -0.6 GDP 0.8 0.6 - - -0.6 GDP -0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920-0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920-0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920 GDP 0.3 0.3 0.3 0.1 0.1 0.1-0.1-0.1-0.1-1 2 3 4 5 6 7 8 9 1011121314151617181920-1 2 3 4 5 6 7 8 9 1011121314151617181920-1 2 3 4 5 6 7 8 9 1011121314151617181920 GDP 0.8 0.6 - - 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.8 0.6 - - 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.8 0.6 - - 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 GDP ordering GDP
Chow F-statistic p-value GDP 6 0.39 CPI 3.23 0 1.50 0.18 VAR Goldfeld-Quandt F-Stat. p-value GDP 0.53 0.65 3 7 CPI 0.31 0.13 7.98 0 0.68 1 15.06 0 VAR 3 1991 1 Chow Goldfeld-Quandt 2 s1 F = s 2 2 2 2 1, 2 ss ( n1 K, n2 K) F n, n K 1 2 GDP
GDP 0.57 0.70 +0.12 0.59 0.71 +1 0.80 0.72-9 +0 CPI 0.61 6-4 0.55 0.31-0.10 6 0-6 -0.11 GDP
GDP GDP : GDP : : : +0.11 0.59 0.71 0.71 +1 +0 0.80 0.61 0.72 +0.10 CPI -0.14 0.55 1 0.31-0.10-0.11 6 5 0-5 ordering GDP CPI GDP
: : : : C A D B A,B... C,D... GDP 1977.1~1986.4 vs 1991.1~.2 1977.1~1988.2 vs 1993.1~.2 A B C D A B C D GDP CPI +0.11 +0.10 +1 +0 +8 +8 +0.38 +7 GDP CPI +0.14 +0.11 +0.17 +1 +0.11 +0.12 +6 +5 GDP +0.13 +0.13 +0.14 +0 +3 +4 +7 +0.13 GDP +0.16 +0.16 +5-1 +6 +6 +1 +9 GDP CPI +0.11 +0.13 +0.14 +2 +8 +9 +0.35 +8 GDP CPI +0.12 +0.12 +0.11 +2 +0.10 +0.10 +5 +6 GDP +0.13 +0.13 +0.13-0 +3 +4 +0 +0.14 GDP +0.15 +0.14 +7-1 +6 +6 +0.37 +0.10 1977.1~1986.4 vs 1991.1~.2 1977.1~1988.2 vs 1993.1~.2 A B C D A B C D GDP CPI -0.14-5 -0.10-0.11-0.13-3 -0.10-0.14 GDP CPI -0.11-0 -0.17-0.13-0.12-1 -0.14-0.11 GDP -6-8 -0.17-0.12-5 -9-0.15-9 GDP -6-7 -0-9 -4-9 -0.15-7 GDP CPI -0.17-0.13-2 -0.15-0.15-0.16-0 -0.19 GDP CPI -0.14-0.12-3 -0.16-0.13-0.15-1 -0.17 GDP -9-5 -1-0.10-8 -8-0.19-0.13 GDP -8-5 -0-0.11-6 -8-0.17-0.10
ordering GDP 1977.1~1986.4 vs 1991.1~.2 1977.1~1988.2 vs 1993.1~.2 A B C D A B C D GDP CPI +0.11 +0.10 +1 +0 +8 +8 +0.38 +7 GDP CPI +0.12 +0.11 +2 +1 +9 +9 +6 +8 CPI GDP +0.14 +0.14 +1 +1 +8 +0.10 +0 +8 CPI GDP +0.15 +0.15 +2 +2 +0.11 +0.12 +0.37 +9 GDP CPI +0.11 +0.11 +3 +3 +9 +0.10 +2 +8 CPI GDP +0.16 +0.15 +2 +3 +0.11 +0.13 +4 +0.10 GDP CPI +0.11 +0.10 +0.30 +6 +7 +6 +5 +0.10 GDP CPI +0.11 +0.13 +0.14 +2 +8 +9 +0.35 +8 1977.1~1986.4 vs 1991.1~.2 1977.1~1988.2 vs 1993.1~.2 A B C D A B C D GDP CPI -0.14-5 -0.10-0.11-0.13-3 -0.10-0.14 GDP CPI -8-0.18-0.11-0.11-0.10-0.16-0.13-0.13 CPI GDP -0.16-6 -0.10-0.11-0.14-3 -0.11-0.15 CPI GDP -0.12-6 -7-0.15-0.12-4 -0.10-0.18 GDP CPI -0.11-0.17-0.12-0.13-9 -0.16-0.14-0.16 CPI GDP -8-0 -0.10-0.15-0.10-0.18-0.12-0.17 GDP CPI -0.16-0.13-0.19-0.11-0.17-0.15-0 -0.15 GDP CPI -0.17-0.13-2 -0.15-0.15-0.16-0 -0.19 lag length GDP 1977.1~1986.4 vs 1991.1~.2 1977.1~1988.2 vs 1993.1~.2 A B C D A B C D GDP CPI 1 +0.15 +0.13 +9 +1 +0.11 +0.10 +2 +5 2 +0.11 +0.10 +1 +0 +8 +8 +0.38 +7 3 +0.11 +0.11 +6 +3 +5 +6 +5 +9 GDP CPI 1977.1~1986.4 vs 1991.1~.2 1977.1~1988.2 vs 1993.1~.2 A B C D A B C D 1-0.11-2 -0.13-0.15-0.12-1 -0.15-0.15 2-0.14-5 -0.10-0.11-0.13-3 -0.10-0.14 3-0.11-3 -0.16-1 -0.12-1 -0.18-0 ordering 4 VAR CPI 2 GDP
π = α + βx + γπ + δi + ε t t 1 t 1 t 1 t π x GDP i βˆ 0.35 0.30 5 0 0.15 0.10 5 0-5 -0.10 1977.1-1986.4 1978.1-1987.4 1979.1-1988.4 1980.1-1989.4 1981.1-199 1982.1-1991.4 1983.1-1992.4 1984.1-1993.4 1985.1-1994.4 1986.1-.4 1987.1-.4 1988.1-.4 1989.1-.4 1990.1-.4 1991.1-.4 1992.1-.4 1993.1-.4 1994.1-.4 γˆ 1.20 0 0.80 0.60 0 0 0-0 1977.1-1986.4 1978.1-1987.4 1979.1-1988.4 1980.1-1989.4 1981.1-199 1982.1-1991.4 1983.1-1992.4 1984.1-1993.4 1985.1-1994.4 1986.1-.4 1987.1-.4 1988.1-.4 1989.1-.4 1990.1-.4 1991.1-.4 1992.1-.4 1993.1-.4 1994.1-.4 10
i = 1 4 ˆ β 0.30 5 4 4 π t = α + β i i x t i + γ i iπ t i + ε = 1 = 1 t : x : GDP i CPI 0.30 5 0 0 0.15 0.15 0.10 0.10 5 5 0 0-5 -5 1977.1-1986.4 1979.1-1988.4 1981.1-199 1983.1-1992.4 1985.1-1994.4 1987.1-.4 1989.1-.4 1991.1-.4 1993.1-.4 1977.1-1986.4 1979.1-1988.4 1981.1-199 1983.1-1992.4 1985.1-1994.4 1987.1-.4 1989.1-.4 1991.1-.4 1993.1-.4 0 0.90 0.80 0.70 0.60 0.50 0 0.30 0 0.10 0 1977.1-1986.4 4 ˆ i = 1 i γ CPI 1979.1-1988.4 1981.1-199 1983.1-1992.4 1985.1-1994.4 1987.1-.4 1989.1-.4 1991.1-.4 1993.1-.4 1.20 0 0.80 0.60 0 0 0 1977.1-1986.4 1979.1-1988.4 1981.1-199 1983.1-1992.4 1985.1-1994.4 1987.1-.4 1989.1-.4 1991.1-.4 1993.1-.4 10
GDP - 0.6 0.8 1977.1-1986.4 1991.1-.4-0.6 0.8 1.2 1.4 1977.2-1980.1 198-1985.2 1985.3-1991.1 1991.2-.2.3-.4.1-.4
GDP 1977.1-1986.4 1991.1.4-0.6 - - 0.6 0.8 1.2-0.6 - - 0.6 0.8 1.2 - -0.5 0.5 1.5 1977.2-1977.4 1978.1-1980.1 198-1983.1 1983.2-1985.2 1985.3-1986.4 1987.1-1991.1 1991.2-1993.4 1994.1-.2.3-.1.2-.4.1-.1.2-.4
GDP 0.6 0.5 0.3 0.1-0.1 1977.1-1986.4 1991.1-.4 Y = C+ I + G Y, C I, G Y Var( Y ) = Var( C + I + G) = Var( C) + Cov( C, I) + Var( I) + Cov( I, C) + Var( G) + Cov( G, C) + Cov( C, G) + Cov( I, G) + Cov( G, I) L C L I L G
SNA.1Q 0 10 20 30 40 50 60 70 80 90 1977.2-1980.1 198-1985.2 1985.3-1991.1 1991.2-.2.3-.4.1-.1 SNA SNA -20-10 0 10 20 30 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 SNA SNA
10 5 10 I 10 1, L = i I i -20 0 20 40 60 80 100 120 140 1977.1-1981.4 1979.1-1983.4 1981.1-1985.4 1983.1-1987.4 1985.1-1989.4 1987.1-1991.4 1989.1-1993.4 1991.1-.4 1993.1-.4.1-.4.1-.4.1-.4 = i i j ij j i ρ σ σ 44 4 3 44 14 2 14243 + = = i i j j i i i i i I I Cov I Var I Var I Var ), ( ) ( ) ( ) ( I i, j I I i, j I
70 60 50 40 30 20 10 0 1977.1-1981.4 1979.1-1983.4 1981.1-1985.4 1983.1-1987.4 1985.1-1989.4 1987.1-1991.4 1989.1-1993.4 1991.1-.4 1993.1-.4.1-.4.1-.4.1-.4
CPI 0.5 1.5 2.0 2.5 1976 1980 1981 1985 1986 1990 1991 2005-2 -1 1 2 3 4 5 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005 0.9% 0.7%
CPI 0.5 1.5 2.0 2.5 1976 1980 1981 1985 1986 1990 1991 2005 1980 0% 20% 40% 60% 80% 100% 1975 1980 1985 1990 2.0 4.0 6.0 8.0 1 12.0 14.0 16.0 1976 1980 1981 1985 1986 1990 1991 2005 0.9% 0.8%
GDP -4.0-2.0 2.0 4.0 6.0 8.0 1 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005-2.0 2.0 4.0 6.0 8.0 1 12.0 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005-4.0-2.0 2.0 4.0 6.0 8.0 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005
CGPI -4-3 -2-1 1 2 3 4 5 6 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005-1 -5.0 5.0 1 15.0 2 25.0 3 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005-6.0-4.0-2.0 2.0 4.0 6.0 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005
-4.0-2.0 2.0 4.0 6.0 8.0 1 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005-7.0-6.0-5.0-4.0-3.0-2.0-2.0 3.0 4.0 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005-4.0-2.0 2.0 4.0 6.0 8.0 1 12.0 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005
CPI -2.0 2.0 4.0 6.0 8.0 1 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005-2.0 2.0 4.0 6.0 8.0 1 12.0 14.0 16.0 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005-2.0 2.0 4.0 6.0 8.0 1 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 2005
1980.1-1986.12.4-.12 3.67 1.35 2 1 3,561 6.06 3.71 0 0 26 6.06 3.71 0 0 26 5.63 9.25 0 0 52 4.72 3.14 0.18 0.18 143 5.02 5.48 6 0.18 31 9.14 7.34 1.42 3 43 2.13 2.00 0.36 3 33 4.07 2.57 0.17 7 51 2.64 0.71-0.39 7 131 - - 2 9 37 3.56 2.04 2 9 44 3.41 0 0.32 0.30 81 2.64 0.71-1 0.33 58 2.80 8 6 0.33 28 - - -0.17 0.35 26 3.17 0.99 8 0.35 30 3.38 1.76 0 0.36 62 - - 0.38 0.36 35 4.77 2.96 0.34 0.39 27 3.75 2.49 2 1 45 - - -0.17 2 33 3.99 0.62 1.42 3 48 4.26 2.70 3 5 29-3.35 1.22-8 8 29 3.09 0.52 1.30 0.50 32 6.60 2.46 1 0.50 29 - - -0.35 0.51 54 5.42 4.49 0.55 0.52 39 4.04 5.56-4 0.53 40 3.91 2.86-1 0.56 39 8.12 2.27 1.19 0.58 93 5.87 2.76 0.58 0.72 95 2.61 1.33 6 0.75 36-4 1.74-0.90 0.77 34 1.41 4.02-0.66 0.87 46 - - 2.23 1.23 45 4.80 11.81 9 1.34 32 5.92 1.81-1.51 1.84 27 * 3.80 2.44-0.57 2.08 110 - - -3.58 2.17 45-1.58 1.61-2.39 3.01 181 * - - -0.13 3.27 148 5.66 9.63 1.20 4.54 26 1.66 3.87 3.26 8.09 163 * - - -3.61 11.93 26 4 12 3 25 70 2487/3561 * 1980
12 10 8 6 4 2 0-2 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1981-19851986-19901991--- 1.42 1.87 2.90 1.44 0.77 1.63 2.21 2.94 0.91 6 4 3 2 1 0-1 -2 -- 1.19 0.72 0.66 0.37 /12 5 12
5 12 14 16 18 20 22 24 26 1990 1991 1992 1993 1994-4 -2 0 2 4 6 8 10
VAR 68SNA 1977.11986.4 GDP GDP GDP GDP 0.8 0.6 - - -0.6-0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920 0.8 0.6 - - -0.6-0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920 0.8 0.6 - - -0.6-0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920 GDP 0.3 0.3 0.3 0.1 0.1 0.1-0.1-0.1-0.1-1 2 3 4 5 6 7 8 9 1011121314151617181920-1 2 3 4 5 6 7 8 9 1011121314151617181920-1 2 3 4 5 6 7 8 9 1011121314151617181920 GDP 0.8 0.8 0.8 0.6 0.6 0.6 - - - - 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20-1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20-1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
1991.1.1 0.8 0.6 - - -0.6 GDP GDP 0.8 0.6 - - -0.6 GDP 0.8 0.6 - - -0.6 GDP -0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920-0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920-0.8 1 2 3 4 5 6 7 8 9 1011121314151617181920 GDP 0.3 0.3 0.3 0.1 0.1 0.1-0.1-0.1-0.1-1 2 3 4 5 6 7 8 9 1011121314151617181920-1 2 3 4 5 6 7 8 9 1011121314151617181920-1 2 3 4 5 6 7 8 9 1011121314151617181920 GDP 0.8 0.6 - - 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.8 0.6 - - 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 0.8 0.6 - - 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 GDP ordering GDP
VAR 68SNA Chow F-statistic p-value GDP 0.52 0.82 CPI 3.77 0 1.41 1 Goldfeld-Quandt F-Stat. p-value GDP 9 0.94 3.51 0 CPI 0.31 0.14 4.65 0 0.70 3 9.60 0 VAR 3 1991 1 Chow Goldfeld-Quandt 2 s1 F = s 2 2 2 2 1, 2 ss ( n1 K, n2 K) F n, n K 1 2 GDP
68SNA GDP 0.55 0.96 +5 0.58 3 +0.14 0.72 1 +9-2 CPI 0.61 6-9 0.58 9-0.14 4 2-2 -7 GDP
68SNA : : : : C A D B A,B... C,D... GDP 1977.1~1986.4 vs 1991.1~.1 A B C D GDP CPI +7 +5 +0.14-2 GDP CPI +7 +5 +0.12-1 GDP +8 +7 +6 +1 GDP +8 +9 +5 +0 GDP CPI +7 +4 +0.19 +2 GDP CPI +6 +6 +0 +4 GDP +8 +5 +0.16 +1 GDP +6 +5 +0.15 +2 1977.1~1986.4 vs 1991.1~.1 A B C D GDP CPI -0.12-0.19-0.14-7 GDP CPI -9-0.16-0 -0.32 GDP +1 +2-5 -5 GDP +3 +0-3 -3 GDP CPI -0.13-0.10-2 -7 GDP CPI -8-0.10-5 -0.34 GDP -4 +2-3 -2 GDP -2 +2-3 -1
ordering GDP 1977.1~1986.4 vs 1991.1~.1 A B C D GDP CPI +7 +5 +0.14-2 GDP CPI +6 +8 +0.16 +3 CPI GDP +8 +8 +0.16-1 CPI GDP +4 +0 +9 +3 GDP CPI +2 +0.37 +0.58 +5 CPI GDP +3 +1 +0.58 +5 GDP CPI +8 +4 +4 +0 GDP CPI +7 +4 +0.19 +2 1977.1~1986.4 vs 1991.1~.1 A B C D GDP CPI -0.12-0.19-0.14-7 GDP CPI -5-0.14-0.15-8 CPI GDP -0.12-1 -0.12-6 CPI GDP -0.12-0 -0.14-0.30 GDP CPI -7-0.15-0.15-5 CPI GDP -8-0.16-0.16-9 GDP CPI -0.13-0.10-1 -4 GDP CPI -0.13-0.10-2 -7 lag length GDP GDP CPI 1977.1~1986.4 vs 1991.1~.1 A B C D 1 +5 +2 +8-2 2 +7 +5 +0.14-2 3 +0.38 +0.34 +0.59 +8 GDP CPI 1977.1~1986.4 vs 1991.1~.1 A B C D 1-0.10-0.17-0.18-9 2-0.12-0.19-0.14-7 3-9 -0.15-0.16-0.35 ordering 4 VAR CPI 2 GDP